In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, in general both positions are positively correlated with contemporaneous volatility, and the opposite effect is detected on the following day for...

There exist a large and increasing number of papers that describe different calendar anomalies in stock markets. Although empirical evidence suggests that seasonal effects disappeared after the early 1990s, new studies and approaches assert the continuation of some anomalies in stock indexes. In...